Of the early attempts empirically to test the Capital Asset Pricing Model, the most supportive major study was by Fama and his Chicago colleague James D. MacBeth (1973), who used the data tapes of monthly stock returns from 1926 to 1968 constructed by the Center for Research in Security Prices (CRSP). Even Fama and MacBeth's support for the model was qualified in some respects, and other studies found significant discrepancies. For example, Michael Jensen, Myron Scholes, and Fischer Black also used the CRSP tapes on the monthly returns on all stocks on the New York Stock Exchange, in their case for the years from 1931 to 1965. They constructed ten hypothetical portfolios with betas (calculated against the "market" in the sense of all New York-listed stocks) ranging from 0.5 to 1.5. They found that the low-beta portfolios had higher returns than the CAPM predicted, and the high-beta portfolios had lower returns.

Donald MacKenzie, An Engine, Not a Camera, loc. 392